Research on the Tail Dependence of Agriculture Listed Companies

Pei-song Mu, Xun-gang Zheng

Abstract

Based on the Conditional Probability Model of Gumbel-H Copula and Clayton Copula distribution function to measure the tail dependence of financial asset, and the interior relationship between these two types of Copula distribution functions and Kendall?, this article calculates the tail dependence of agricultural listed companies in Shanghai and Shenzhen by the non-parametric estimation method. The results shows that the tail dependence is existed between Shanghai and Shenzhen listed companies in agriculture, and the four kinds of listed companies in Shanghai which are farming, forestry, animal husbandry and fishery respectively have the tail dependence with the same four kinds of companies in Shenzhen. In addition, all tail dependence is asymmetry.

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